提前還款對房貸資產影響的實證分析

An Empirical Study of the Curtailment on a Bank's Mortgage Portfolio

王培煜(Perry, Wang)

指導教授 ： 李賢源

國立臺灣大學/管理學院/財務金融學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.10060

摘要

研究目的是以實證分析房貸資產之借款人 (房貸戶) 部分提前還款行為對該資產違約機率的影響。到目前為止，大部分涉及房貸提前還款的文獻皆著重於一次全部清償的提前還款行為，即房貸戶向其他金融機構轉貸或因房地產出售依約提前全部清償相關問題之分析探討。在亞洲地區之房貸資產多數可見的是借款人在合約到期日前存在提前償還部分本金的行為 (即部分提前還款 Curtailment ) ，該現象在美國等西方國家卻並不盛行。房貸戶之部分提前還款對房貸資產組合的影響，其實與一次全部清償的提前還款行為截然不同。過去文獻顯示：相較於其他無法轉貸的房貸戶，因大批轉貸的全部清償行為對房貸資產組合將產生負面影響；因為有轉貸價值的資產進行轉貸後，資產組合內其他無法轉貸的借款人大多數面臨所得不足或房地產現值不足的問題。

然而本研究發現：房貸戶之部分提前還款對房貸資產組合的整體信用風險影響則是正面的。因為個別房貸的部分提前還款會減少整體房貸的貸款金額成數，也因而減少了房貸資產組合之未償還貸款金額低於房地產擔保品市價的可能；有能力提前償還部分本金的房貸戶既使發生延滯還款仍然具有高於一般水準的補正清償能力，對資產組合的意義則是該資產之整體還款能力較高且組合之信用風險違約機率也較低。

本文以本國銀行十年期以上之房貸資產為樣本資料進行統計實證，以分析部分提前還款行為與該資產違約機率的關係。我們運用羅吉斯迴歸技術 ( Logistic Regressions ) 建構預測模型，所得到之結果為累積的部分提前還款 ( Cumulative Curtailment ) 確實對長期房貸資產組合之違約機率具有顯著的預測效力。本文亦顯示：由於民情與借款人行為的不同，從實際應用的層面考量針對本國銀行估計房貸資產之信用風險參數模型與西方國家慣用的解釋變數設定應有相當差異之處。

關鍵字

房屋貸款 ； 投資組合 ； 借款違約 ； 部分提前還款 ； 風險管理 ； 提前還款

並列摘要

This thesis researches the impact of mortgage curtailment behavior on the subsequent default probabilities. Almost all mortgage prepayment literature focus on the analysis of complete payoff. That is, when a borrower chooses to pay off the entire remaining balance of the mortgage by refinancing or as a result of the due-on-sale clause. Although curtailment is not popular in western countries, it is the dominant form of prepayment in Asia. Curtailment prepayment of a mortgage pool has very distinct implication on subsequent default probabilities than full prepayments. The literature documented the adverse impact of prepayment on the quality of the mortgages remain in a pool following a major refinancing opportunity. The rationale of this phenomenon is that the borrowers who can afford to refinance would have already done so; those borrowers remained in the pool tend to be the ones unable to refinance due to insufficient income or house value to qualify for a new mortgage. Curtailment, on the other hand, tends to have positive impact on the overall credit quality of a mortgage pool. With the reduction of remaining balance of individual loans, the average loan-to-value ratio decreases, making the loans less likely to experience negative equity. The fact that the borrower is able to pay extra amount indicates the excess repayment capacity, making ability to pay problem less a concern. Both situations lead to lower subsequent default rates.

Using a sample of over ten years mortgage performance records from a domestic bank, we studied the impact of curtailment on mortgage default risk. The results of the logistic regressions indicate that the cumulative curtailment is the most significant factor in predicting future default probabilities of a seasoned mortgage pool. This finding suggests that mortgage modeling in Taiwan would be very different from their western counter parties.

並列關鍵字

Prepayment ； Mortgage ； Default ； Curtailment ； Portfolio

參考文獻

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